Study: Sell GODFRYPHLP when near 200 SMA and below 200 SMA and ADX is Trending

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In this study, we evaluate the performance of strategy "Sell GODFRYPHLP when near 200 SMA and below 200 SMA and ADX is Trending" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell GODFRYPHLP at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
119584.751710758.823683.7910154.95-2464.73-8592.591.492.140.0581152.04
258208.451713476.475331.1522175.61-2774.13-5181.81.926.250.113424.03
352647.991713476.475436.5115596.34-4506.66-7874.31.213.920.13096.94
485888.641711664.719503.627994.46-3108.5-6322.173.065.610.125052.27
591157.67179852.9412732.9623078.23-2929.87-7801.734.354.890.115362.22
61072331712570.5911600.2230985.44-6393.9-7314.181.814.350.116307.83
71018041712570.5911115.2830849.98-6315.8-11700.521.764.220.15988.49
81096181610662.514339.9631628.85-5630.31-12064.262.554.240.116851.1
9111348169756.2516897.530291.23-5818.5-11094.272.93.730.116959.25
1071981.95169756.2515300.5230511.34-9388.97-26902.581.632.10.0614498.87

From the table above, we see that best results are achieved by holding positions for 2 trading days. Profit factor is 6.25. Strategy is very good and impressively bearish. Percentage of profitable trades is 76.47%, which is excellent. Average return per trade is 1.71%, which is not very high, but percentage of profitable trades compensates for it.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
GODFRYPHLP Performance, X=2, Profit Factor:6.25

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019104 Jun 2019 (3.29%)
2018121 Aug 2018 (2.46%)
2015130 Jan 2015 (0.08%)
2014119 Jun 2014 (1.35%)
2013131 May 2013 (11.09%)
2008429 Jan 2008 (5.31%), 16 Apr 2008 (-2.59%), 26 May 2008 (-0.9%), 23 Jun 2008 (0.01%)
2007202 Aug 2007 (5.33%), 13 Nov 2007 (-0.57%)
2004312 Jul 2004 (1.16%), 27 Jul 2004 (0.36%), 10 Aug 2004 (0.72%)
2003112 Jun 2003 (0.65%)
2001107 Mar 2001 (2.84%)
1999101 Dec 1999 (-1.48%)

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
nilnil-1258208.451713476.475331.1522175.61-2774.13-5181.81.926.250.113424.03
atrnil318.2725473.12153122038319.8762573.57-7457.21-12293.265.141.280.0171698.21
atrtrail-169804.922151623.8119454.5634908.49-5466.74-12293.263.561.110.0079466.9
atrnil26.338578.31851327.7820797.3241715.71-7339.1-12293.262.831.090.007476.57
atrtrail24.92975.092151623.8118088.5941715.71-5466.74-12293.263.311.030.0024141.67
atrtrail35.05-10723.032151623.8115348.9724736.57-5466.74-12293.262.810.88-0.011-510.62
200trail-12.56-17814.142752218.528469.321675.59-2734.57-3941.873.10.7-0.023-659.78
200trail22-28077.9928721254622.267887.38-2877.8-3951.061.610.54-0.058-1002.79
200nil22.15-36189.482752218.526332.687887.38-3084.22-3978.492.050.47-0.074-1340.35
200nil32.54-36983.962632311.5410680.5311831.06-3001.11-3941.873.560.46-0.067-1422.46
200trail32.22-35876.682752218.524856.7911831.06-2734.57-3941.871.780.4-0.075-1328.77

In the table above, row 1 shows the best exit criterion. Profit factor is 6.25. Strategy is very good and impressively bearish. Percentage of profitable trades is 76.47%, which is excellent. Average return per trade is 1.71%, which is not very high, but percentage of profitable trades compensates for it.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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